1) Most baby items are gender-based. Believe it or not, it is extremely hard to find nice outfits that can be worn by either baby girls or baby boys, even for the earliest months. Nurseries also tend to have a theme that is blue or pink, or have some kind of gender bias think princesses or trucks. Even strollers and car seats are often designed specifically with a gender in mind. While this is annoying to many people, it is a simple fact. Knowing your baby's gender allows you to make more appropriate choices when you go shopping.
2) Choosing a name for a baby is hard enough! If you don't know what gender your baby will be, you will have to pick out two names, or even wait until the birth of your baby to start discussing names. Naming a baby is stressful and difficult for many parents (as well as a lot of fun when you find the right name), and only having to discuss baby names for either a boy or a girl can make the decision a bit easier.
3) Some mothers like knowing the gender of their baby so they can address their baby as a boy or girl when they talk to it while they are pregnant. I am not sure if bonding with your baby does become easier, or whether the pregnancy becomes more "real" if you know what the gender of your baby is. But some people think so, and it is certainly a valid reason for wanting to find out what the sex of your baby is at an ultrasound.